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首页> 外文期刊>South East European Journal of Economics and Business >An Empirical Analysis Of Stock Returns And Volatility: The Case Of Stock Markets From Central And Eastern Europe
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An Empirical Analysis Of Stock Returns And Volatility: The Case Of Stock Markets From Central And Eastern Europe

机译：股票收益和波动性的实证分析：以中欧和东欧股票市场为例

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摘要

The main goal of this paper is to investigate the behaviour of stock returns in the case of stock markets from Central and Eastern Europe (CEE), focusing on the relationship between returns and conditional volatility. Since there is relatively little empirical research on the volatility of stock returns in underdeveloped stock markets, with even fewer studies on markets in the transitional economies of the CEE region, this paper is designed to shed some light on the econometric modelling of the conditional mean and volatility of stock returns from this region. The results presented in this paper provide confirmatory evidence that ARIMA and GARCH processes provide parsimonious approximations of mean and volatility dynamics in the case of the selected stock markets. There is overwhelming evidence corroborating the existence of a leverage effect, meaning that negative shocks increase volatility more than positive shocks do. Since financial decisions are generally based upon the trade-off between risk and return, the results presented in this paper will provide valuable information in decision making for those who are planning to invest in stock markets from the CEE region.
机译：本文的主要目的是研究中欧和东欧（CEE）股票市场中股票收益的行为，重点是收益与条件波动率之间的关系。由于对欠发达股票市场中股票收益的波动性进行的实证研究相对较少，而对中东欧地区转型经济体中市场回报的研究则更少，因此本文旨在对条件均值和该地区股票收益的波动性。本文提供的结果提供了验证性证据，表明ARIMA和GARCH过程在选定股票市场的情况下提供了均值和波动率动态的简约近似。有大量证据证明杠杆效应的存在，这意味着负面冲击比正面冲击更能增加波动性。由于财务决策通常是基于风险与收益之间的权衡，因此，本文中介绍的结果将为那些计划在中东欧地区投资股票市场的人士提供有价值的决策信息。

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